The New Frontier in Fixed Income: Systematic Investing
Managing Factor Strategies in Practice
Leading systematic managers have deep research databases and in-house cutting-edge quant platforms, enabling them to identify and access hundreds of proprietary factors. Not all will be implemented continuously in a systematic portfolio, but the managers can rotate them according to market conditions as investment regimes change and the efficacy of the factors varies with them.
Predictive factor-based approaches originated in equity markets, where benchmarks are relatively straightforward to construct, and pricing is largely transparent. Factor-based approaches arrived more recently in fixed-income markets, which are larger, more complex and fragmented across disparate trading pools. All…
